Testing contagion with propensity matching estimators : a three country empirical example

We analyse the effect of the Global Financial Crisis (GFC) on portfolios of USD denominated sovereign bonds. We use propensity matching estimators in order to measure the average difference in the volatility of sovereign spreads between the non-crisis and crisis period. We use a parsimonious factor...

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Autores:
Cayón Fallon, Edgardo
Sarmiento Sabogal, Julio Alejandro
Tipo de recurso:
Article of investigation
Fecha de publicación:
2014
Institución:
Colegio de Estudios Superiores de Administración
Repositorio:
Repositorio CESA
Idioma:
eng
OAI Identifier:
oai:repository.cesa.edu.co:10726/5126
Acceso en línea:
http://hdl.handle.net/10726/5126
https://ssrn.com/abstract=2541504
Palabra clave:
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openAccess
License
Abierto (Texto Completo)
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spelling Cayón Fallon, Edgardobe27db6c-c045-4b3d-983d-c71aa93d1fe8600Sarmiento Sabogal, Julio Alejandroc31ea8e4-9874-40e0-bf5e-f20c33c9c2a7600Cayón Fallon, Edgardo [0000-0002-4113-5521]Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]Cayón Fallon, Edgardo [56395390800]Sarmiento Sabogal, Julio Alejandro [57196465468]2023-06-21T22:23:11Z2023-06-21T22:23:11Z20141450-202Xhttp://hdl.handle.net/10726/5126instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/1450-216Xhttps://ssrn.com/abstract=2541504engEuroJournalsTesting contagion with propensity matching estimators : a three country empirical examplearticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32info:eu-repo/semantics/openAccessAbierto (Texto Completo)http://purl.org/coar/access_right/c_abf2We analyse the effect of the Global Financial Crisis (GFC) on portfolios of USD denominated sovereign bonds. We use propensity matching estimators in order to measure the average difference in the volatility of sovereign spreads between the non-crisis and crisis period. We use a parsimonious factor model of local and global variables to create a set of common observable characteristics. This setup allows us to test the hypothesis of change in prices for three countries between non-crisis and different crisis periods of the GFC via counterfactuals.https://orcid.org/0000-0002-4113-5521https://orcid.org/0000-0001-5986-4813https://www.scopus.com/authid/detail.uri?authorId=56395390800https://www.scopus.com/authid/detail.uri?authorId=571964654681221107113European Journal of Scientific Research10726/5126oai:repository.cesa.edu.co:10726/51262023-09-18 09:49:53.451metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co
dc.title.eng.fl_str_mv Testing contagion with propensity matching estimators : a three country empirical example
title Testing contagion with propensity matching estimators : a three country empirical example
spellingShingle Testing contagion with propensity matching estimators : a three country empirical example
title_short Testing contagion with propensity matching estimators : a three country empirical example
title_full Testing contagion with propensity matching estimators : a three country empirical example
title_fullStr Testing contagion with propensity matching estimators : a three country empirical example
title_full_unstemmed Testing contagion with propensity matching estimators : a three country empirical example
title_sort Testing contagion with propensity matching estimators : a three country empirical example
dc.creator.fl_str_mv Cayón Fallon, Edgardo
Sarmiento Sabogal, Julio Alejandro
dc.contributor.author.spa.fl_str_mv Cayón Fallon, Edgardo
Sarmiento Sabogal, Julio Alejandro
dc.contributor.orcid.none.fl_str_mv Cayón Fallon, Edgardo [0000-0002-4113-5521]
Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
dc.contributor.scopus.none.fl_str_mv Cayón Fallon, Edgardo [56395390800]
Sarmiento Sabogal, Julio Alejandro [57196465468]
description We analyse the effect of the Global Financial Crisis (GFC) on portfolios of USD denominated sovereign bonds. We use propensity matching estimators in order to measure the average difference in the volatility of sovereign spreads between the non-crisis and crisis period. We use a parsimonious factor model of local and global variables to create a set of common observable characteristics. This setup allows us to test the hypothesis of change in prices for three countries between non-crisis and different crisis periods of the GFC via counterfactuals.
publishDate 2014
dc.date.issued.none.fl_str_mv 2014
dc.date.accessioned.none.fl_str_mv 2023-06-21T22:23:11Z
dc.date.available.none.fl_str_mv 2023-06-21T22:23:11Z
dc.type.none.fl_str_mv article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.coar.none.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.type.redcol.none.fl_str_mv http://purl.org/redcol/resource_type/ART
dc.type.coarversion.none.fl_str_mv http://purl.org/coar/version/c_71e4c1898caa6e32
format http://purl.org/coar/resource_type/c_2df8fbb1
dc.identifier.issn.none.fl_str_mv 1450-202X
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10726/5126
dc.identifier.instname.none.fl_str_mv instname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponame.none.fl_str_mv reponame:Biblioteca Digital – CESA
dc.identifier.repourl.none.fl_str_mv repourl:https://repository.cesa.edu.co/
dc.identifier.eissn.none.fl_str_mv 1450-216X
dc.identifier.url.none.fl_str_mv https://ssrn.com/abstract=2541504
identifier_str_mv 1450-202X
instname:Colegio de Estudios Superiores de Administración – CESA
reponame:Biblioteca Digital – CESA
repourl:https://repository.cesa.edu.co/
1450-216X
url http://hdl.handle.net/10726/5126
https://ssrn.com/abstract=2541504
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.citationvolume.none.fl_str_mv 122
dc.relation.citationissue.none.fl_str_mv 1
dc.relation.citationstartpage.none.fl_str_mv 107
dc.relation.citationendpage.none.fl_str_mv 113
dc.relation.ispartofjournal.none.fl_str_mv European Journal of Scientific Research
dc.rights.accessrights.none.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.local.none.fl_str_mv Abierto (Texto Completo)
dc.rights.coar.none.fl_str_mv http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.publisher.none.fl_str_mv EuroJournals
publisher.none.fl_str_mv EuroJournals
institution Colegio de Estudios Superiores de Administración
repository.name.fl_str_mv Biblioteca Digital - CESA
repository.mail.fl_str_mv biblioteca@cesa.edu.co
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